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Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
Digital文書・図像類
石田, 功, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2009-02
Available onlineOther Libraries in Japan
  • Subject Heading...ower variation Jump detection BDS test Hong-Li test High-fr...

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
Paper文書・図像類
Ishida, Isao, Toshiaki, Watanabe日本経済国際共同センター2009-01Discussion paper series. CIRJE-FCIRJE-F-608
Other Libraries in Japan
  • Subject Heading...ower variation Jump detection BDS test Hong-Li test High-fr...

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